JB USD BARRIER REVERSE CONVERTIBLE - ON THE 10Y USD SWAP RATE Julius Baer Structured Products
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JB USD BARRIER REVERSE CONVERTIBLE
ON THE 10Y USD SWAP RATE
Julius Baer Structured Products
February 2016INDICATIVE TERMS*
JB USD Barrier Reverse Convertible
Bank Julius Baer & Co. Ltd., Guernsey Branch
Issuer
(Rating: Moody’s A2)
Minimum Size / Denomination USD 1’000
Currency USD
Underlying 10y USD swap rate (Bloomberg: USISDA10 Index)
Strike / Spot USISDA10 Index 100% (indicatively 1.63%)
Capital Protection None, but risk buffer of 40%
60% (indicatively 0.98%)
KI (Knock-In) Barrier
European (observation at maturity)
Coupon 7.00% p.a. paid semi-annually
Maturity 1 Year
Settlement Cash
Valor 30.689.166 (in subscription until 03.03.2016, 12:00 CET)
*Terms are indicative and subject to change
2INFORMATION ON THE UNDERLYING
JB USD Barrier Reverse Convertible
Historical 10y USD swap rate
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
Indicative barrier 60% (European observation)
1.00%
0.50%
2011 2012 2013 2014 2015 2016
Source: Reuters
3SCENARIO-ANALYSIS IN THE SECONDARY MARKET
JB USD Barrier Reverse Convertible
• BRCs are normally quoted clean (accrued Coupon not in the Certificate price included)
• The Coupon of 7.00% p.a. is guaranteed and paid semi-annually
• The Scenario-Analysis only includes a shift in the 10Y Swap Rate – all other parameters were
kept constant
Underlying Certificate price in Certificate price
(USISDA10 Index) 6 months * at Maturity
2.00% 100% 100%
1.63%
99% 100%
(ATM)
1.30% 85% 100%
0.98% 80% 100%
0.9780%
79% 60%
(= KI Barrier)
0.80% 58% 49%
*After semi-annual coupon payment of 3.50%
For illustration purposes only 4ADVANTAGES AND RISKS
JB USD Barrier Reverse Convertible
Advantages Risks
• Risk buffer of 40% • Limited upside compared to direct
KI barrier 60%, observation at maturity investment
• Guaranteed coupon of 7.00% • No capital protection
• Positive return in sideways market • Issuer risk
Payoff diagram at maturity Redemption at maturity
Profit
Final >= KI Barrier 60%
Barrier Cap
Yes No
0
Strike
100% 100% - (Initial-Final) / Initial
+ Coupon + Coupon
Loss
5Structured Products
Bank Julius Baer & Co. Ltd.
Hohlstrasse 604/606
P.O. Box
CH-8010 Zurich
Switzerland
Telephone +41 (0) 58 888 81 81IMPORTANT LEGAL DISCLAIMER
For distribution in Switzerland only. This presentation constitutes marketing Structured products (e.g. baskets, certificates) are complex financial products
material and is not the result of independent financial research. Therefore the legal which involve a high degree of risk. They are intended exclusively for investors who
requirements regarding the independence of financial research do not apply. The have the knowledge and experience necessary to understand all risks and merits
presentation is intended for information purposes only and does not constitute an involved. Structured products are not comparable with conventional debts or equity
offer, a recommendation or an invitation by, or on behalf of, Julius Baer to make any securities and will not be covered by any financial compensation or insurance scheme.
investments. The views expressed in this presentation may not reflect the official In particular, a structured product does not constitute a participation in a collective
views of Julius Baer and may deviate from the opinion of other departments of the investment scheme. It constitutes a direct, unconditional, unsecured and
Bank or any other third party. The presentation was produced at the time of writing unsubordinated obligation of the issuer. The product’s value is not only dependent on
and is subject to change without notice. Services and/or products mentioned in this the development of the underlying(s), but also on the credit-worthiness of the issuer.
presentation may not be suitable for all recipients (i.e. retail clients). This As structured products may be denominated in another currency than the one of the
presentation has been prepared without taking account of the objectives, financial investor’s home member state, fluctuations in exchange rates may adversely affect
situation or needs of any particular investor. Before entering into any transaction, the market value of the product. Structured products were not registered with the
investors should consider the suitability of the transaction to individual local regulator and are not publicly distributable outside of Switzerland. Not all the
circumstances and objectives. Any investment or trading or other decision should risks and merits associated with structured products can be disclosed in this
only be made by the client after a thorough reading of the relevant product term presentation. Therefore, potential investors should consult the entire product
sheet, subscription agreement, information memorandum, prospectus or other documentation related to the specific issuance before making any investment
offering document relating to the issue of the securities or other financial decision. The documentation can be obtained free of charge from your relationship
instruments. Nothing in this presentation constitutes investment, legal, accounting manager or requested at derivatives@juliusbaer.com. Julius Baer makes no
or tax advice, or a representation that any investment or strategy is suitable or representation as to the suitability or appropriateness of the product for any
appropriate for individual circumstances. Julius Baer recommends that investors particular investor.
independently assess, with a professional advisor, the specific financial risks as well as
legal, regulatory, credit, tax and accounting consequences. The price of financial
instruments may vary and is exposed to general risks inherent in equities markets,
currencies, interests as well as in political changes. Past performance is not a reliable NEITHER THIS PRESENTATION NOR ANY COPY THEREOF MAY BE SENT, TAKEN
indicator of future results and performance forecasts are not a reliable indicator of INTO OR DISTRIBUTED IN THE UNITED STATES OR TO ANY US PERSON AS
future performance. An investor may lose part or all of his investment. Although the DEFINED IN REGULATION S OF THE US SECURITIES ACT OF 1933.
information and data herein are obtained from sources believed to be reliable, no
representation is made that the information is accurate or complete. Julius Baer does
not accept liability for any loss arising from the use of this presentation.
© Julius Baer Group, 2016
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